Show simple item record

dc.contributor.authorAuld, Thomasen
dc.contributor.authorLinton, Oliveren
dc.date.accessioned2018-11-24T00:31:36Z
dc.date.available2018-11-24T00:31:36Z
dc.date.issued2019-01-01en
dc.identifier.issn0169-2070
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/285954
dc.description.abstractWe study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results. We employ a Bayesian updating methodology to update prior opinion about the likelihood of the final outcome of the vote. We then relate the voting model to the real time evolution of the market determined prices. We find that although both markets appear to be inefficient in absorbing the new information contained in vote outcomes, the betting market is apparently less inefficient than the FX market. The different rates of convergence to fundamental value between the two markets leads to highly profitable arbitrage opportunities.
dc.publisherElsevier
dc.titleThe behaviour of betting and currency markets on the night of the EU referendumen
dc.typeArticle
prism.endingPage389
prism.issueIdentifier1en
prism.publicationDate2019en
prism.publicationNameInternational Journal of Forecastingen
prism.startingPage371
prism.volume35en
dc.identifier.doi10.17863/CAM.33281
dcterms.dateAccepted2018-07-15en
rioxxterms.versionofrecord10.1016/j.ijforecast.2018.07.014en
rioxxterms.licenseref.urihttp://www.rioxx.net/licenses/all-rights-reserveden
rioxxterms.licenseref.startdate2019-01-01en
dc.contributor.orcidLinton, Oliver [0000-0003-2313-0564]
dc.identifier.eissn1872-8200
rioxxterms.typeJournal Article/Reviewen
pubs.funder-project-idESRC (ES/J500033/1)
rioxxterms.freetoread.startdate2018-10-31


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record